Discrete-Time Mean Field Type Games: Probabilistic Setup

Grégoire Lambrecht, Mathieu Lauriere

Abstract:

We introduce a general probabilistic framework for discrete-time, infinite-horizon discounted Mean
Field Type Games (MFTGs) with both global common noise and team-specific common noises. In
our model, agents are allowed to use randomized actions, both at the individual level and at the team
level. We formalize the concept of Mean Field Markov Games (MFMGs) and establish a connection
between closed-loop policies in MFTGs and Markov policies in MFMGs through different layers
of randomization. By leveraging recent results on infinite-horizon discounted games with infinite
compact state-action spaces, we prove the existence of an optimal closed-loop policy for the original
MFTG when the state spaces are at most countable and the action spaces are general Polish spaces.
We also present an example satisfying our assumptions, called Mean Field Drift of Intentions, where
the dynamics are strongly randomized, and we establish the existence of a Nash equilibrium using
our theoretical results.